An improved method and system to create and write a security trading strategy, back test the strategy and automatically execute and monitor the strategy in an Internet based trading environment. Upon occurrence of a market trigger condition, the automated process automatically generates entry and exit orders and sends the entry and exit orders to the market to be filled. A restriction check is also performed on the entry and exit orders. The automated process further monitors the entry and exit orders once they have been sent to be filled and intelligently modifies the entry and exit orders depending on market and strategy conditions.
Legal claims defining the scope of protection, as filed with the USPTO.
1. A computer-implemented method for evaluating a user-created trading strategy, said method comprising: receiving, by a computer device, a user-created trading strategy comprising one or more rules, each rule specifying one or more trade criteria and one or more corresponding actions; downloading, by the computer device and from a database, a historical data stream of market data representing market conditions over a historical time period; executing, by the computer device, the user-created trading strategy over sequences of historical data in the historical data stream, including, for each time period of a plurality of time periods, evaluating each rule of the one or more rules including: determining whether the one or more trade criteria of the rule are satisfied by sequences of historical data within the time period, whenever the one or more trade criteria of the rule are satisfied by the sequences of historical data within the time period, simulating performance of the one or more corresponding actions of the rule using the sequences of historical data within the time period, and updating a measure of performance of the user-created trading strategy as a result of the simulated performance of the one or more corresponding actions of the rule; after executing the user-created trading strategy over the sequences of historical data, determining, by the computer device, whether the measure of performance of the user-created trading strategy satisfies a threshold measure of success; providing, by the computer device, feedback to a user that indicates whether or not the measure of performance of the user-created trading strategy satisfied the threshold measure of success; applying, by the computer device, each of the evaluated rules of the executed user-created trading strategy where the measure of performance of the user-created trading strategy satisfies the threshold measure of success to a data stream of real-time market data; determining, by the computer device, that one or more trade criteria for each of the evaluated rules of the executed user-created trading strategy are satisfied; and in response to determining that the one or more trade criteria for each of the evaluated rules of the executed user-created trading strategy are satisfied, generating, by the computer device, an order instruction.
2. The method according to claim 1 , wherein the one or more trade criteria specify conditions under which to automatically generate an order instruction.
3. The method according to claim 1 , wherein said downloading and said executing are performed automatically.
4. The method according to claim 1 , wherein said generating said order instruction is performed automatically.
5. The method according to claim 1 , further comprising: modifying, by the computer device, said order instruction.
6. The method according to claim 1 , wherein receiving the user-created trading strategy comprises receiving, at the computer device, user input defining a new trading strategy.
7. The method according to claim 1 , wherein receiving the user-created trading strategy comprises receiving, at the computer device, a user selection of a particular user-created trading strategy wherein the particular user-created trading strategy was previously created by the user.
8. The method according to claim 1 , wherein the user-created trading strategy is written in English-like phrases.
9. A system for evaluating a user-created trading strategy, said system comprising: one or more computers configured to execute instructions that cause the one or more computers to perform operations comprising: receiving a user-created trading strategy comprising one or more rules, each rule specifying one or more trade criteria and one or more corresponding actions; downloading, from a database, a historical data stream of market data representing market conditions over a historical time period; executing the user-created trading strategy over sequences of historical data in the historical data stream, including, for each time period of a plurality of time periods, evaluating each rule of the one or more rules including: determining whether the one or more trade criteria of the rule are satisfied by sequences of historical data within the time period, whenever the one or more trade criteria of the rule are satisfied by the sequences of historical data within the time period, simulating performance of the one or more corresponding actions of the rule using the sequences of historical data within the time period, and updating a measure of performance of the user-created trading strategy as a result of the simulated performance of the one or more corresponding actions of the rule; after executing the user-created trading strategy over the sequences of historical data, determining whether the measure of performance of the user-created trading strategy satisfies a threshold measure of success; providing feedback to a user that indicates whether or not the measure of performance of the user-created trading strategy satisfied the threshold measure of success; applying each of the evaluated rules of the executed user-created trading strategy where the measure of performance of the user-created trading strategy satisfies the threshold measure of success to a data stream of real-time market data; determining that one or more trade criteria for each of the evaluated rules of the executed user-created trading strategy are satisfied; and in response to determining that the one or more trade criteria for each of the evaluated rules of the executed user-created trading strategy are satisfied, generating an order instruction.
10. The system of claim 9 , wherein the one or more trade criteria specify conditions under which to automatically generate an order instruction.
11. The system of claim 9 , wherein said downloading and said executing are performed automatically.
12. The system of claim 9 , wherein said generating said order instruction is performed automatically.
13. The system according to claim 9 , wherein the operations further comprise: modifying said order instruction.
14. The system according to claim 9 , wherein receiving the user-created trading strategy comprises receiving user input defining a new trading strategy.
15. The system according to claim 9 , wherein receiving the user-created trading strategy comprises receiving a user selection of a particular user-created trading strategy wherein the particular user-created trading strategy was previously created by the user.
16. The system according to claim 9 , wherein the user-created trading strategy is written in English-like phrases.
Cooperative Patent Classification codes for this invention. Click any code to explore related patents in that topic.
September 29, 2011
August 25, 2020
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